High frequency financial econometrics : recent developments

This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. The chapters on market microstructure deal wit...

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Other Authors: Bauwens, Luc
Format: Book
Language:English
Published: Springer 2017
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Online Access:http://repository.vnu.edu.vn/handle/VNU_123/29295
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Institution: Vietnam National University, Hanoi
Language: English
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spelling oai:112.137.131.14:VNU_123-292952020-05-13T01:47:41Z High frequency financial econometrics : recent developments Bauwens, Luc Pohlmeier, Winfried Veredas, David Finance -- Econometric models Econometrics Foreign exchange rates -- Econometric models This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order aggressiveness in pure limit order book markets. The chapters on tick-by-tick data present statistical techniques for the analysis of the discrete nature of price movements, the intraday seasonal patterns of financial durations, and the joint probability law of prices, volume and durations. Bond markets are brought into focus through the analysis of macroeconomic announcements in the future bond market as a function of the business cycle. Exchange markets are examined from two perspectives: the study of the impact of information arrival on exchange rate volatility and the uncovering of chartist patterns in the euro/dollar exchange rate. Last, dynamic modelling of large dimensional covariance matrices is also presented. Shedding light on some of the most relevant open questions in the analysis of high frequency data, this volume will be of interest to graduate students, researchers and industry professionals. 2017-04-17T02:22:11Z 2017-04-17T02:22:11Z 2008 Book 9783790819915 http://repository.vnu.edu.vn/handle/VNU_123/29295 en © Physica-Verlag Heidelberg 2008 310 p. application/pdf Springer
institution Vietnam National University, Hanoi
building VNU Library & Information Center
country Vietnam
collection VNU Digital Repository
language English
topic Finance -- Econometric models
Econometrics
Foreign exchange rates -- Econometric models
spellingShingle Finance -- Econometric models
Econometrics
Foreign exchange rates -- Econometric models
High frequency financial econometrics : recent developments
description This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order aggressiveness in pure limit order book markets. The chapters on tick-by-tick data present statistical techniques for the analysis of the discrete nature of price movements, the intraday seasonal patterns of financial durations, and the joint probability law of prices, volume and durations. Bond markets are brought into focus through the analysis of macroeconomic announcements in the future bond market as a function of the business cycle. Exchange markets are examined from two perspectives: the study of the impact of information arrival on exchange rate volatility and the uncovering of chartist patterns in the euro/dollar exchange rate. Last, dynamic modelling of large dimensional covariance matrices is also presented. Shedding light on some of the most relevant open questions in the analysis of high frequency data, this volume will be of interest to graduate students, researchers and industry professionals.
author2 Bauwens, Luc
author_facet Bauwens, Luc
format Book
title High frequency financial econometrics : recent developments
title_short High frequency financial econometrics : recent developments
title_full High frequency financial econometrics : recent developments
title_fullStr High frequency financial econometrics : recent developments
title_full_unstemmed High frequency financial econometrics : recent developments
title_sort high frequency financial econometrics : recent developments
publisher Springer
publishDate 2017
url http://repository.vnu.edu.vn/handle/VNU_123/29295
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